Reasons I can think of, one is insufficient access permissions for the file, another is if the file name actually has some other characters in the end, so doesn’t have “.xml” suffix. Latest HQPlayer Desktop 3.25.6 release is also notarized, so it should be fine from that perspective too on Catalina.
But you can manually install the key file as well. In Finder, from the menu select “Go to…” and enter or copy-paste “~/.hqplayer” as folder name. Then copy the file there and rename it to “desktop3-key.xml”. That’s it, on next start HQPlayer should pick it up.